ARC Discovery Projects
Three Faculty ARC Discovery Projects have gained funding for 2010-2012. Two projects address risk management: in relation the pricing of financial products; and for managing the volatility of electricity prices. The third project relates to scheduling for perishable products. This is a fantastic result for the Faculty and for these three members of the Centre for Financial Risk. Congratulations to Associate Professor Ken Siu and Doctor Xian Zhou (Department of Actuarial Studies) and Associate Professor Stefan Trueck (Department of Economics).
Associate Professor Ken Siu (Department of Actuarial Studies) along with Professor RJ Elliott (University of Adelaide) have been granted $195,000 over 2010-2012 for their project entitled “Risk Measures and Management in Finance and Actuarial Science Under Regime-Switching Models”.
New models for assessing and managing risk of financial products developed by Associate Professor Siu and Professor Elliot will place Australia at the forefront of risk management. The work will also sustain the competitive edge of Australia as one of the major financial centres in the Asia-Pacific region through enhancing both the theory and practice of financial risk management. The project outcome will also benefit to the country in other areas of risk, for example, environment risk, climate change, and energy and security problems.
Associate Professor Stefan Trueck (Department of Economics) along with Professor RC Wolff and Dr R Weron have been granted $169,136 over 2010-2012 for their project entitled “Managing the risk of price spikes, dependencies and contagion effects in Australian electricity markets”.
Australian electricity markets are more volatile and spike-prone than other comparable markets. Price spikes account for large parts of total price variation, and companies that are unprepared to manage these risks adequately potentially face substantial losses. The economic reality of price spikes in our interconnected electricity markets which are small and geographically isolated, unlike the proximate markets of Europe and North America, emphasises the imperative of this Australian-focused research. The results of Associate Professor Trueck’s project will enable forecasting of extreme prices and enable market participants to manage better their risks, in Australia's unique electricity environment, and reduce chances of large losses or default.
Finally, Dr Xian Zhou (Department of Actuarial Studies) has been awarded $150,000 over 2010-2012 for his project entitled “Stochastic Scheduling for Production and Delivery of Perishable Products with Imperfect Information”.
Australia has a wide range of industries producing perishable goods such as wheat, fruit, vegetables, meat, milk, seafood and health products, as well as fashion and entertainment goods. These industries play a critical role in the Australian economy, as well as impacting on national health and the environment. Dr Zhou’s project will provide new strategies, models and techniques to increase efficiency in both the production and delivery of perishable products. The outcomes of the project will enable decision makers in industries handling perishable products to optimise the use of resources, reduce costs and waste, raise productivity and improve services. The nation will benefit with higher export income and better quality of consumer products.
Congratulations again to these three distinguished researchers.